The Viability Property for Path-dependent SDE under Open Constraints

Liangquan Zhang

The Viability Property for Path-dependent SDE under Open Constraints

Probability 2015-06-02 v5

Authors: Liangquan Zhang

Abstract

In this note, we study the viability of a bounded open domain in $\mathbb{R}% ^{n}$ for a process driven by a path-dependent stochastic differential equation with Lipschitz data. We extend an invariant result of Cannarsa, Da. Prato and Frankowska [\textit{Indiana Univ. Math. J.} \textbf{59} (2010) 53-78] to a non-Markovian setting.

Keywords

stochastic differential equations pseudoconvex domains

Cite

@article{arxiv.1203.5666,
  title  = {The Viability Property for Path-dependent SDE under Open Constraints},
  author = {Liangquan Zhang},
  journal= {arXiv preprint arXiv:1203.5666},
  year   = {2015}
}

Comments

To appear in Acta Mathematica Scientia, Series A

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